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LÉVY SIMPLE STRUCTURAL MODELS

This paper considers credit portfolio models based on Levy processes in general, and the gamma model in particular. It describes both single-name and multi-name situations using the gamma model, along with calibration fits and a comparison of various simple Levy models. There is also extensive historical data, including the May 2005 Auto crisis, which can be described in terms of the model. Parameter-based risk management using the gamma model is also discussed along with implementation details.
Year of publication:
2007
Authors: BAXTER, MARTIN
Published in:
International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 10.2007, 04, p. 593-606
Publisher: World Scientific Publishing Co. Pte. Ltd.
Subject: Structural credit model | CDO pricing | Levy process | gamma process
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